Zobrazeno 1 - 6
of 6
pro vyhledávání: '"Yuma Uehara"'
Autor:
Yuma Uehara
Publikováno v:
Annals of the Institute of Statistical Mathematics.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::72d76e16884584700ed969228713b4e5
https://doi.org/10.1007/s10463-022-00854-2
https://doi.org/10.1007/s10463-022-00854-2
Autor:
Yuma Uehara, Shoichi Eguchi
Publikováno v:
Scandinavian Journal of Statistics. 48:950-968
We study the construction of the theoretical foundation of model comparison for ergodic stochastic differential equation (SDE) models and an extension of the applicable scope of the conventional Bayesian information criterion. Different from previous
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1d5fa1d720210901536c49fb297385cc
https://doi.org/10.1111/sjos.12474
https://doi.org/10.1111/sjos.12474
Publikováno v:
Electronic Journal of Statistics. 16
We study inference for the driving Lévy noise of an ergodic stochastic differential equation (SDE) model, when the process is observed at high-frequency and long time and when the drift and scale coefficients contain finite-dimensional unknown param
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f60cbabddb56d8dec56519eb3713291c
https://doi.org/10.1214/22-ejs2006
https://doi.org/10.1214/22-ejs2006
Autor:
Yuma Uehara
Publikováno v:
Stochastic Processes and their Applications. 129:4051-4081
We consider the estimation problem of misspecified ergodic Levy driven stochastic differential equation models based on high-frequency samples. We utilize a widely applicable and tractable Gaussian quasi-likelihood approach which focuses on mean and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::73ad567af9edc2487700ddad422655df
https://doi.org/10.1016/j.spa.2018.11.007
https://doi.org/10.1016/j.spa.2018.11.007
Autor:
Yuma Uehara, Hiroki Masuda
Publikováno v:
Statistical Inference for Stochastic Processes. 20:105-137
We consider high frequency samples from ergodic Levy driven stochastic differential equation with drift coefficient $$a(x,\alpha )$$ and scale coefficient $$c(x,\gamma )$$ involving unknown parameters $$\alpha $$ and $$\gamma $$ . We suppose that the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::89aa2890f64d54691ca3eaf55aeb2767
https://doi.org/10.1007/s11203-016-9133-5
https://doi.org/10.1007/s11203-016-9133-5
Autor:
Yuma Uehara, Hiroki Masuda
We consider parametric estimation of the continuous part of a class of ergodic diffusions with jumps based on high-frequency samples. Various papers previously proposed threshold based methods, which enable us to distinguish whether observed incremen
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0d3fd5d3a70d592081a2235067158690
